Research On Comparison Of Liquidity Between The SME Board Market And The Main Board Market

On the basis of the review and summary of western and Chinese literatures, this paper analyses the characteristic of Chinese stock market. According to these characteristics, this paper chooses the liquidity indicators, then builds the model which measure the liquidity of the market. The liquidity indicators include depth, width and instantaneity, which are respectively represented by adjusted liquidity ratio,the implement and the trading frequency. After the determination of weight of the indicators by variation coefficient method, the model of liquidity is established. After measuring the liquidity of the SME board market and the main board market by the model, this paper finds that the main Board's liquidity is better than the SME board's on all the three sides. On the basis of the empirical results, this paper analyses the reasons which lead to the difference of the two markets, mainly on the configuration of the investors,the fluctuating of yield,the size of the listed companies,the size of the market. At last, it gives advices to improve the liquidity of the SME board. Because of the great similarity of the issuing system and market environment between the main board and the SME board, this paper gives the advices to improve the liquidity of SME Board ,which include the reform of the mechanisms for issuing,introduction of market maker system,reduction of trading cost,vigorously training of institutional investors and the building of a multi-layered structure of the market.